Risk service functions

Details on using the functions listed here can be found in the section Use risk service (MM-Talk).

RsvValueAtRiskResult.RsvActualValuationDate→Date

Result: The RsvActualValuationDate function returns the date to which the precalculations on the server refer. (Courses are included in the modeling of the instruments up to this date, for example)

Portfolio Risk Service" module

RsvValueAtRiskResult.RsvAnalysisCurrency→Currency

Result: The RsvAnalysisCurrency function returns the analysis currency, i.e. the currency of RsvVaR.

Portfolio Risk Service" module

RsvRiskServiceObject.RsvCheckProductAvailability[List of ValueAtRiskPosition]→List(RsvInstrumentStatus)

Result: The RsvCheckProductAvailability function provides information about the current registration status of an instrument.

Portfolio Risk Service" module

RsvValueAtRiskResult.RsvConfidenceLevel→number

Result: The RsvConfidenceLevel function provides the confidence level.

Portfolio Risk Service" module

RsvStatusObject.RsvCurrencies→Currency

Result: The RsvCurrencies function provides possible evaluation currencies.

Portfolio Risk Service" module

Object.RsvDescription→String

Result: The RsvDescription function provides an additional, more detailed description of the instrument status (if available).

Portfolio Risk Service" module

RsvInstrumentStatus.RsvInstrument→(Wp|Account|SpecialInvestment|ValueAtRiskPosition)

Result: The RsvInstrument function returns the instrument to which the status information refers.

Portfolio Risk Service" module

RsvInstrumentStatus.RsvInstrumentID→String

Result: The RsvInstrumentID function returns the instrument ID.

Portfolio Risk Service" module

RsvStatusObject.RsvLastDate→Date

Result: The RsvLastDate function returns the last date on which precalculations were carried out.

Portfolio Risk Service" module

RsvValueAtRiskResult.RsvLevelObject→(RsvValueAtRiskPortfolio|String|Risk position)

Result: Different risk ratios can relate to different properties. For example, the marginal VaR refers to individual positions and classes. The object returned by this function RsvLevelObject designates the object to which the present result refers. In the case of positions this is a ValueAtRiskPosition, in the case of classes this is a character string that designates this class and in the case of portfolios this is the RsvValueAtRiskPortfolio.

Portfolio Risk Service" module

RsvStatusObject.RsvNextDate→Date

Result: The RsvNextDate function returns the date on which the next precalculation is planned.

Portfolio Risk Service" module

RsvValueAtRiskResult.RsvPortfolio→RsvValueAtRiskPortfolio

Result: The RsvPortfolio function returns the portfolio to which this result relates.

Portfolio Risk Service" module

RsvRelativeVaRDivisor→Number

Result: The RsvRelativeVaRDivisor function provides the value by which the absolute value at risk of a position, group or portfolio is divided in order to obtain the relative value at risk.

As a rule, the relative value at risk is calculated by dividing it by the market value of a position, group or portfolio. However, if a portfolio (or a group) consists only of futures and for individual futures positions, this value is not appropriate, as the current profit & loss of futures positions can also assume small values (or even zero). Therefore, in these cases a different basis is used as the divisor, e.g. for equity futures the market price of the underlying multiplied by the contract size.

The result is calculated in the evaluation currency. Instruments that cannot be valued on the server are ignored when calculating the total, as they are not included in the calculation of the absolute risk.

Portfolio Risk Service" module

RsvRiskServiceObject→RsvRiskServiceObject

Result: The RsvRiskServiceObject function returns the risk service object. The entry point for the risk calculation via the risk service is always such a risk service object.

Portfolio Risk Service" module

RsvRiskServiceObject.RsvServiceStatus→RsvStatusObject

Result: The RsvServiceStatus function provides the current registration status of the instrument.

The function provides information on permissible parameters for the RsvValueAtRisk function, as well as the last date on which precalculations were carried out and the date on which the next precalculation is planned.

Portfolio Risk Service" module

RsvRiskServiceObject.RsvStatus→String

Result: The RsvStatus function provides the current registration status of the instrument.

Portfolio Risk Service" module

RsvValueAtRiskResult.RsvTheoreticalValue→number

Result: The calculations on the risk service are based on mathematical modeling of the instruments. These model rates may differ from the actual rates. The value of the RsvTheoreticalValue function returns the associated model price (or, in the case of classes or portfolios, the sum of the associated model prices). In the case of classes or portfolios, individual non-valuable items are not taken into account, whereas an "n/a" is returned for individual items if they cannot be valued.

Portfolio Risk Service" module

RsvValueAtRiskResult.RsvTimeHorizon→String

Result: The RsvTimeHorizon function provides the time horizons for which key risk figures can be calculated, expressed in ISO format.

Portfolio Risk Service" module

RsvStatusObject.RsvTimeHorizons→Number

Result: The RsvTimeHorizons function provides the time horizon for which the risk assessment applies.

Portfolio Risk Service" module

RsvVaRResult.RsvValue→Number

Result: For individual positions, the RsvValue function returns the value as it is available in the Infront Portfolio Manager: In evaluation currency, on the date to which the precalculations on the server refer. For classes or portfolios, this function returns the sum of all items in the portfolio or class, using the server-side value if available. If this is not available for a position, this position is valued in the Infront Portfolio Manager. If no evaluation is possible there either, "n/a" is returned as the overall result.

Portfolio Risk Service" module

RsvRiskServiceObject.RsvValueAtRisk[RSVPortfolios;TimeHorizons;Conficencelevels;Currency;Restrictions;VaRTypes;DoAdHocPricing;ExcludedRiskFactors]→number

RSVPortfolios (RsvValueAtRiskPortfolio): Individual RsvValueAtRiskPortfolio or a list of portfolios for which risk figures are to be calculated.

TimeHorizons (String): Character string or list of character strings, where each character string represents a time horizon supported by the risk service, e.g. in the form "P1M" for "one month". The permitted values can be taken from the result of the RsvServiceStatus.RsvVarTypes function.

Conficencelevels (number): Number or list of numbers, according to the desired confidence level, e.g. 0.99 for 99%.

Evaluation currency (currency): The RsvServiceStatus.RsvCurrenciesfunction provides permitted values.

Restrict (Boolean): If "False", the calculation is aborted if a requested portfolio contains an unvaluable instrument. With "True", the calculation is only carried out on the instruments that can be valued.

VaRTypes (String): The key risk figures to be calculated. (RsvServiceStatus.RsvVarTypes).

DoAdHocPricing (Boolean): for some instruments that are not registered for precalculation, the simulation of possible future price developments is also possible during the evaluation of a template. If this option is set to "True", these instruments are included in the calculation. This extends the duration of the calculation on the server.

Result: The RsvValueAtRisk function is the central function for calculating risk on the RsvRiskServiceObject. When this function is called up, a connection to the risk service is established in the background and the corresponding results are queried there.

Portfolio Risk Service" module

ValueAtRiskPositions.RsvValueAtRiskPortfolio[Date;FuturesClearing]→RsvValueAtRiskPortfolio

ValueAtRiskPositions: The list of ValueAtRisk positions contains all positions that make up the portfolio to be calculated. In the case of ValueAtRisk positions that contain special assets, it should be noted that the securities account valuation from which the special asset objects originate is carried out on the evaluation date.

Date (Date[Today]): The evaluation date on which the risk is to be determined. It should be noted that the date on which the risk is actually determined may differ from this date if no precalculations have (yet) been carried out on the server for this date.

FuturesClearing (Boolean[Unassigned]): If this parameter is "Unassigned" (default) for all portfolios in a "CalculateRsvValueAtRisk" query, the previous calculation mode is used - futures cannot then be valued. If this parameter is "True" or "False" for a portfolio, the futures positions are taken into account in the risk calculation (unless other obstacles prevent this). The value ("True" or "False") determines how the account balances of the current or margin accounts are determined, which are used for the risk assessment of these cash positions.

"True." For each currency, the account balances of the margin accounts in the portfolio (as of the evaluation date) are totaled by combining these margin accounts (if they were in different groups, a new group is created for the margins of this currency). The current position values of the futures in this currency are deducted from this sum. This settlement takes place separately for each currency. The aim is to receive only the initial margins or initial margin repayments of the margin accounts, but not the accrued profits and losses, as these are held in the associated cash account due to the daily settlements.

"Wrong." The offsetting described above (of the "true" case) does not take place. In this case, the margin account balances (of margin accounts nevertheless contained in the RsvPortfolio) are assumed to be non-valuable in the calculation on the risk server. In this case, margin accounts should therefore not be included in the RsvPortfolio via the "Margin account" parameter of the ValueAtRisk position, but should be created via the "Currency" parameter as a currency position with the appropriate values if they are required.

Result: The RsvValueAtRiskPortfolio function returns the RsvValueAtRiskPortfolio.

Portfolio Risk Service" module

RsvValueAtRiskResult.RsvVaR→Number

Result: The RsvVaR function provides the Value at Risk ("VaR") in evaluation currency.

Portfolio Risk Service" module

RsvVaRResult.RsvVaRType→String

Result: The RsvVaRType function returns the VaR type.

Portfolio Risk Service" module

RsvStatusObject.RsvVaRTypes→String

Result: The RsvVaRTypes function provides the key risk figures that can be calculated.

Portfolio Risk Service" module